scientific article; zbMATH DE number 4197687

zbMATH Open0725.90006MaRDI QIDQ5202791FDOQ5202791

Authors: Stefan Mittnik, Svetlozar T. Rachev 

Publication date: 1991

Title of this publication is not available (Why is that?)

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zbMATH Keywords

stable distributionsfinancial modellingasset returnsbivariate stock-return datageometric summation modelportfolios of financial assets

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Cited In (38)

• Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions
• Asymmetric Laplace laws and modeling financial data
• A new measure between sets of probability distributions with applications to erratic financial behavior
• Boundary regularity for fully nonlinear integro-differential equations
• Tempered positive Linnik processes and their representations
• \(\alpha\)-stable random vectors with time varying spectral measure and applications to financial time series analysis.
• Likelihood-free Bayesian inference for \(\alpha\)-stable models
• Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
• On multivariate extensions of the mixed tempered stable distribution
• Stable modeling of value at risk
• Multivariate generalized hyperbolic laws for modeling financial log-returns: empirical and theoretical considerations
• Dispersion models for geometric sums
• Weak limits for multivariate random sums
• A bivariate infinitely divisible law for modeling the magnitude and duration of monotone periods of log‐returns
• On improved volatility modelling by fitting skewness in ARCH models
• Modeling fat tails in stock returns: a multivariate stable-GARCH approach
• Discrete time parametric models with long memory and infinite variance
• Saddlepoint approximations for subordinator processes
• Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with \(\alpha \)-stable noise
• Convergence and inference for mixed Poisson random sums
• Multi-tail generalized elliptical distributions for asset returns
• Fractional moment estimation of Linnik and Mittag-Leffler parameters
• Analytic and asymptotic properties of multivariate generalized Linnik's probability densities
• The theory of geometric stable distributions and its use in modeling financial data
• Modeling asset returns with alternative stable distributions^*
• MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS
• Estimation of stable spectral measures
• Spatio-temporal dependence measures for bivariate AR(1) models with \(\alpha \)-stable noise
• A general portfolio model for multivariate symmetric stable distributions
• Simulation of geometric stable and other limiting multivariate distributions arising in random summation scheme
• Iterated probability distributions and extremes with random sample size
• Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation
• Computer simulation of geometric stable distributions
• Multi-modal tempered stable distributions and prosses with applications to finance
• Operator geometric stable laws
• Geometric stable laws: Estimation and applications
• Multivariate geometric stable distributions in financial applications.
• Gaussian mixtures and financial returns

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